Anticipative backward stochastic differential equations driven by fractional Brownian motion

被引：15

作者：

Wen, Jiaqiang ^{[1
,2
]}

Shi, Yufeng ^{[1
,2
,3
]}

机构：

[1] Shandong Univ, Inst Financial Studies, Jinan 250100, Peoples R China

[2] Shandong Univ, Sch Math, Jinan 250100, Peoples R China

[3] Shandong Univ Finance & Econ, Sch Stat, Jinan 250014, Peoples R China

来源：

STATISTICS & PROBABILITY LETTERS | 2017年 / 122卷

基金：

中国国家自然科学基金;

关键词：

Anticipative backward stochastic differential equation; Fractional Brownian motion; Comparison theorem; CALCULUS;

D O I：

10.1016/j.spl.2016.11.011

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We study the anticipative backward stochastic differential equations (BSDEs, for short) driven by fractional Brownian motion with Hurst parameter H greater than 1/2. The stochastic integral used throughout the paper is the divergence operator type integral. We obtain the existence and uniqueness theorem to these equations under the Lipschitz condition. A comparison theorem for this type of anticipative BSDEs is also established. (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：118 / 127

页数：10

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